Μέθοδοι πρόβλεψης της μεταβλητότητας σε στοχαστικά μοντέλα με χρηματοοικονομικές εφαρμογές
Volatility forecasting models with applications in finance
This dissertation deals with volatility forecasting models with applications in Finance. In the first chapter we give a recitation of the importance that reflects the volatility in the modern economic life. Then, we define the concept of volatility and briefly describe its properties. In the second chapter, we categorize several volatility fore-casting methods according to the categorization proposed by Poon and Granger (2003). In the third chapter, we evaluate volatility models via simulated time series data using R for various values of the parameters. Finally, in the last chapter, we es-timate, through Monte Carlo simulation, the fair value of specific European options assuming that their volatility is described by a GARCH(1,1) process and make a brief comparison with the corresponding Black and Scholes model (with constant volatili-ty).